I am trying to request historical tick data, and compare the last traded to the see if it filled at the bid or ask for all option contracts on an underlying for a full day. I am not sure if anyone knows if this is possible? The code I have now which I am testing on a regular underlying trying to pull tick data? (which returns "None" not sure whats wrong with it.)
this is what I am looking to do with all option contracts at the end of a trading day:?
My test code (not working):
import pandas as pd
import numpy as np
import datetime
import time
import ibapi
from ibapi.client import Contract
from ibapi.client import EClient
from ibapi.wrapper import EWrapper
class IBapi(EWrapper, EClient):
def __init__(self):
EClient.__init__(self, self)
def run_loop():
app.run()
app = IBapi()
app.connect('127.0.0.1', 4002, 2)
time.sleep(1)
apple_contract = Contract()
apple_contract.symbol = 'AAPL'
apple_contract.secType = 'STK'
apple_contract.exchange = 'SMART'
apple_contract.currency = 'USD'
ticks = app.reqHistoricalTicks(1, apple_contract, '', "20201231 09:30:00:000", 100, 'LAST', 1, True, [])
print(ticks)
time.sleep(10)
app.disconnect()
